As far as I’m aware there’s no option to enable the provisioning of users through an Active Directory/LDAP connection. This type of connection will only allow to perform the authentication of existing users so the provisioning itself would need to be done directly through the underlying directory.
You could also consider exposing the directory as a custom database connection instead which would allow you to call Auth0 API’s to trigger user creation, but the actual creation part would still be done by your implementation, in particular, the custom database script associated with user creation.